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Abstract
One of the most frequently cited criticisms of quantitative investing has been the charge that everyone uses the same factors and models. In other words, the popular strategies of the last few decades, such as value and momentum, have become crowded, leaving little room for investors to generate alpha. But is this actually true? The authors propose an empirical framework for measuring crowdedness, and use this to study the crowding in common systematic strategies.
TOPICS: In markets, statistical methods, technical analysis
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